My set up sounds pretty much like Brian's 
Except my shed has a small door 
For the price of a pre-stressed concrete lintel (£10 upwards dependent on size) it has got to be worth it.
How much wold it cost if the bricks above the window collapsed and took the roof with them 

There are also the legal regs as well. Worth checking but I think external windows and doors are classed as a controlled fitting under the building regulations. This generally involves the use of an installer who is registered with a competent person scheme (BSI, CERTASS or FENSA). 